OK, so let's take this a step further. I understand your argument. It is not truly 'stealing' in the sense of the word at it has always been defined. There is no tangible loss directly related to the reduction of someone's available inventory.
I also have no problem with someone downloading a copy if they pay for HBO.
But do you think it's ok for someone who doesn't pay for HBO to just download a copy the day the show is released just because they think they should get to watch it for free? It's not stealing, we already agreed on that. What is it?
Freeloading.
The problem is that it's impossible to quantify the actual loss (as in, lost sales) caused by piracy. You can't do that without reading people's minds.
For every 10 people who download a movie, TV show, or song without paying, maybe 1 or 2 of them would have paid for it if piracy was impossible. Or maybe 5 of them would have. There's just no way to know.
I think you can make a reasonable assumption, though, that the number of lost sales goes down as cost increases. Who doesn't have $1 that they could spend on a song they like? If piracy was impossible, plenty of would-be downloaders would just cough up the buck it takes to get a song they like.
Subtract "habitual pirates," people who download everything and don't buy anything at all, because some people just don't spend money on these things no matter what. Also, subtract anyone who is unable to legitimately buy something even if they want to - mostly people in countries who don't have access to whatever service is necessary to buy.
HBO is a bit different since it's so expensive to get - you have to pay for cable or satellite TV service with all the associated activation fees and so on, you might have to pay extra for HD, and then you have to pay for HBO. Even if you just sign up right as GoT starts and immediately cancel everything once the season ends, it's still several hundred dollars (assuming there are no early termination fees!).
I don't think HBO really loses many sales due to piracy. Because of the very high cost, few people would actually be willing to sign up for TV service and HBO on top of it.